Title :
Asymptotics for the finite-time ruin probability and empirical analysis in the dependent risk model
Author :
Yang, Yang ; Ma, Xin
Author_Institution :
School of Mathematics and Statistics, Nanjing Audit University, China
Abstract :
A dependent general risk model with constant interest rate is investigated, where the claim sizes are a sequence of upper negatively dependent random variables, and the claim arrival process is a general counting process independent of the claim sizes. The asymptotic behavior for the finite-time ruin probability is derived. With the large claim data from PICC (Peoples Insurance Company of China) Property and Casualty Company Limited in the year 2008, some empirical analysis of the finite-time ruin probability is conducted.
Keywords :
Analytical models; Biological system modeling; Companies; Economic indicators; Insurance; Neodymium; Probability; asymptotic behavior; empirical analysis; finite-time probability; heavy tail; negative dependence;
Conference_Titel :
Information Science and Engineering (ICISE), 2010 2nd International Conference on
Conference_Location :
Hangzhou, China
Print_ISBN :
978-1-4244-7616-9
DOI :
10.1109/ICISE.2010.5691032
